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Elements of Multivariate Time Series Analysis

By: Language: English Series: Springer Series in Statistics | Fienberg, S. (Ed.) | Gani, J. (Ed.) | Krickeberg, K. (Ed.) | et alPublication details: New York, Berlin, Heidelberg : Springer-Verlag 1995Edition: 2. Pr., corrDescription: xiv, 263 pp., 11 IllustrationsISBN:
  • 0-387-94063-4
Subject(s): DDC classification:
  • 519 Probabilities and applied mathematics
Contents:
from the Table of Contents: Preface; Vector Time Series and Model Representations; Vector ARMA Time Series Models and Forecasting; Canonical Structure of Vector ARMA Models; Initial Model Building and Least Squares Estimation for Vector AR Models; Maximum Likelihood Estimation and Model Checking for Vector ARMA Models; Reduced-Rank and Nonstationary Co-Integrated Models; State-Space Models, Kalman Filtering, and Related Topics; Appendix: Time Series Data Sets; Exercises and Problems;
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Loanable Institute for Advanced Studies (IHS) Book 15198-A Available IHS100583003

from the Table of Contents: Preface; Vector Time Series and Model Representations; Vector ARMA Time Series Models and Forecasting; Canonical Structure of Vector ARMA Models; Initial Model Building and Least Squares Estimation for Vector AR Models; Maximum Likelihood Estimation and Model Checking for Vector ARMA Models; Reduced-Rank and Nonstationary Co-Integrated Models; State-Space Models, Kalman Filtering, and Related Topics; Appendix: Time Series Data Sets; Exercises and Problems;

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